Public News Announcements, Short-Sale Restriction and Informational Efficiency
Publication in refereed journal

香港中文大學研究人員
替代計量分析
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其它資訊
摘要In this paper, we address the question that with differences in opinion in really, how quickly stocks incorporate news shocks when they subject to different levels of short-sale constraints. Specifically, we examine the impact of short-sale restriction on stock price efficiency when firms make public earnings announcements. Using data from the Hong Kong stock market, where some stocks are eligible for and others are prohibited from short selling, we find significantly lower post-announcement returns with high economic magnitude for short-sale prohibited stocks with both positive and negative news shocks. The reduction in informational efficiency due to short-sale restriction persists several months after the earnings announcement. The informational inefficiency due to short-sale restriction is particularly severe for firms with negative announcement period shocks and subject to greater differences in opinion.
出版社接受日期02.02.2018
著者Siu Kai Choy, Hua Zhang
期刊名稱Review of Quantitative Finance and Accounting
出版年份2019
月份1
卷號52
期次1
出版社Springer Verlag
頁次197 - 229
國際標準期刊號0924-865X
電子國際標準期刊號1573-7179
語言美式英語

上次更新時間 2021-22-01 於 01:41